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Selected reinsurance models
Heilpern, Stanisław - In: Central European journal of economic modelling and … 16 (2024) 2, pp. 95-124
Persistent link: https://www.econbiz.de/10015326080
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Constructing symmetric generalized FGM copulas by means of certain univariate distributions
Fischer, Matthias; Klein, Ingo - 2004
In this paper we focus on symmetric generalized Fairlie-Gumbel-Morgenstern (or symmetric Sarmanov) copulas which are characterized by means of so-called generator functions. In particular, we introduce a class of generator functions which is based on univariate distributions with certain...
Persistent link: https://www.econbiz.de/10003903464
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Joint cumulative distribution functions for Dempster–Shafer belief structures using copulas
Yager, Ronald R. - In: Fuzzy optimization and decision making : a journal of … 12 (2013) 4, pp. 393-414
Persistent link: https://www.econbiz.de/10010232672
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Vectors of two-parameter Poisson-Dirichlet processes
Leisen, Fabrizio; Lijoi, Antonio - 2010
The definition of vectors of dependent random probability measures is a topic of interest in applications to Bayesian statistics. They, indeed, represent dependent nonparametric prior distributions that are useful for modelling observables for which specific covariate values are known. In this...
Persistent link: https://www.econbiz.de/10010343891
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Correlated defaults of UK banks : dynamics and asymmetries
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015
Persistent link: https://www.econbiz.de/10011413074
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A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
Scott, Alexandre; Metzler, Adam - In: Insurance / Mathematics & economics 64 (2015), pp. 279-293
Persistent link: https://www.econbiz.de/10011398073
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Remarks on composite Bernstein copula and its application to credit risk analysis
Guo, Nan; Wang, Fang; Yang, Jingping - In: Insurance / Mathematics & economics 77 (2017), pp. 38-48
Persistent link: https://www.econbiz.de/10011783884
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Determining distribution for the product of random variables by using copulas
Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Risks : open access journal 7 (2019) 1/23, pp. 1-20
, risk management, science, and others. However, most studies only focus on the distribution of independent variables or … of product for two or more random variables. Thus, the theory developed in this paper is useful for academics …
Persistent link: https://www.econbiz.de/10012015948
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On stochastic comparisons of series systems with heterogeneous dependent and independent location-scale family distributed components
Kundu, Amarjit; Chowdhury, Shovan - In: Operations research letters 48 (2020) 1, pp. 40-47
Persistent link: https://www.econbiz.de/10012169593
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A clusterized copula-based probability distribution of a counting variable for high-dimensional problems
Bernardi, Enrico; Romagnoli, Silvia - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 3-26
Persistent link: https://www.econbiz.de/10009781092